Market integration and the persistence of electricity prices

António Rua, Paulo Rodrigues and João Pedro Pereira

Working Papers from Banco de Portugal, Economics and Research Department

Abstract: There is an ongoing trend of deregulation and integration of electricity markets in Europe and North America. This change in market structure has naturally affected the interaction between agents and has contributed to an increasing commoditization of electric power. This paper focuses on one specific market, the Iberian Electricity Market (MIBEL). In particular, we assess the persistence of electricity prices in the Iberian market and test whether it has changed over time. We consider each hour of the day separately, that is, we analyze 24 time-series of day-ahead hourly prices for Portugal and another 24 series for Spain. We find results consistent with the hypothesis that market integration leads to a decrease in the persistence of the price process. More precisely, the tests detect a break in the memory parameter of most price series around the year 2009, which coincides with a significant increase in the integration of Portuguese and Spanish markets. The results reinforce the view that market integration has an impact on the dynamics of electricity prices.

JEL-codes: C50 E31 F36 (search for similar items in EconPapers)
Date: 2016
New Economics Papers: this item is included in nep-ene, nep-eur, nep-mac and nep-reg
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.bportugal.pt/sites/default/files/anexos/papers/wp201609.pdf

Related works:
Journal Article: Market integration and the persistence of electricity prices (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ptu:wpaper:w201609

Access Statistics for this paper

More papers in Working Papers from Banco de Portugal, Economics and Research Department Contact information at EDIRC.
Bibliographic data for series maintained by DEE-NTD ().